Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1749
Annualized Std Dev 0.2509
Annualized Sharpe (Rf=0%) 0.6972

Row

Daily Return Statistics

Close
Observations 3697.0000
NAs 1.0000
Minimum -0.1193
Quartile 1 -0.0065
Median 0.0014
Arithmetic Mean 0.0008
Geometric Mean 0.0006
Quartile 3 0.0089
Maximum 0.1142
SE Mean 0.0003
LCL Mean (0.95) 0.0003
UCL Mean (0.95) 0.0013
Variance 0.0002
Stdev 0.0158
Skewness -0.2433
Kurtosis 5.3107

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0106
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0158
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.6161
Historical VaR (95%) -0.0254
Historical ES (95%) -0.0374
Modified VaR (95%) -0.0246
Modified ES (95%) -0.0431
From Trough To Depth Length To Trough Recovery
2007-10-15 2008-11-20 2010-04-14 -0.6161 629 280 349
2020-02-21 2020-03-16 2020-05-08 -0.3053 55 17 38
2018-07-26 2018-12-24 2019-04-26 -0.2739 189 105 84
2011-07-08 2011-10-03 2012-09-13 -0.2604 300 61 239
2015-12-02 2016-02-09 2016-07-28 -0.2579 165 47 118

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 1.7 -1 0.6 0 -2.2 -2.7 -0.8 -4.3
2007 0.3 -0.6 -0.1 -0.3 -0.1 -0.3 -0.8 1.4 1.6 -2.1 0.8 -0.9 -1.1
2008 7.2 -2.4 4 1.2 0.1 0.3 -0.4 -1.9 -1.5 0.6 -6.6 2.6 2.6
2009 -0.6 0.2 1.7 1.3 2.9 0.6 0.1 -2.5 -2.7 -2.7 1.3 -1.1 -1.7
2010 0.7 2.8 -0.2 -2.3 -2.7 0 0.2 3.7 -0.6 -1 1.9 -0.7 1.8
2011 1.8 -1.6 0.6 0.6 -2.5 1.5 -0.7 -1.6 -3.1 -3 0.3 -0.3 -7.9
2012 1.1 0.9 -0.6 0 -2.7 3.6 -1.1 0.7 0.1 1.5 -0.2 1.8 5.1
2013 0.8 0.9 -0.9 -0.5 -0.5 1.3 1.9 -0.5 1.6 -0.1 0.5 1 5.8
2014 -1 -1.1 2.3 1.4 -1 1.5 -0.4 0.6 -1.9 2.5 -2 -0.6 0.2
2015 0.4 -1 -0.7 0.1 0.3 0.4 -0.1 -3.3 0.6 0.3 1.3 -1.2 -2.9
2016 1.2 3.1 0.7 0.9 0.5 0.7 0.5 0.1 0.7 -0.9 -1.9 -0.9 4.7
2017 0 1.6 -0.1 1.1 1.3 0.1 0.1 0 0.8 -0.1 -0.4 -0.7 3.7
2018 0 -1.1 2.3 0.6 1.7 -0.2 0.7 -0.1 -0.7 1.6 0.7 0.8 6.6
2019 0.1 0.9 1.6 -0.9 -1.3 0.9 -0.9 -0.4 -2 0.2 -0.4 0.5 -1.9
2020 -1.4 0.4 -4 -3 1.3 2.3 1.7 3.2 1.9 -3.9 -0.1 -0.3 -2.3
2021 2.7 3.3 1.5 NA NA NA NA NA NA NA NA NA 7.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-23  20.5 SPY    124. -2.00e-4  -0.0017 -0.0137   -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
2 2006-06-26  20.8 SPY    125.  4.40e-3   0.0107 -0.0215   -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005    0.0341
3 2006-06-27  20.9 SPY    124. -8.60e-3  -0.0015 -0.0348   -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103   0.0066
4 2006-06-29  20.9 SPY    127.  2.02e-2   0.0226 -0.0019   -0.0195   0.0621    0.304   0.036  GLD    59.5  0.0344   0.031 
5 2006-06-30  21.2 SPY    127. -3.00e-4   0.0224 -0.0117   -0.02     0.0675    0.291   0.0453 GLD    61.2  0.0287   0.0559
6 2006-07-03  21.3 SPY    128.  4.50e-3   0.0225 -0.00930  -0.0149   0.0692    0.281   0.0514 GLD    62.2  0.0155   0.0669
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart